Compared with Harlow and M-V model, its shows not only effective in asset allocation but also in portfolio problem including derivative product whose yield is asymmetric.

 
  • 與哈洛模型、M-V模型比較結果表明,VAR模型不僅在資產(chǎn)配置方面有效,而且適用于包括收益率非對稱(chēng)分布的衍生產(chǎn)品的資產(chǎn)組合問(wèn)題;
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